RBS 2009 Annual Report Download - page 285

Financial statements
Notes on the accounts
283RBS Group Annual Report and Accounts 2009
Total Level 1 Level 2 Level 3 Level 3 sensitivity (2)
2008 £bn £bn £bn £bn £m £m Level 3 valuation technique and related assumptions
Assets
Loans and advances
– banks 56.2 — 56.2 — — — n/a
– customers 53.6 — 50.5 3.1 70 (50) Proprietary model: credit spreads, indices
Debt securities
Government 105.9 68.7 37.2 — — — n/a
RMBS 72.8 — 72.3 0.5 40 (90) Industry standard model: prepayment rates,
probability of default, loss severity and yield
CMBS 3.9 — 3.3 0.6 30 (30) n/a
CDOs 8.6 — 6.9 1.7 410 (440) Proprietary model: implied collateral valuation,
default rates, housing prices, correlation
CLOs 8.7 — 7.7 1.0 40 (40) Industry standard simulation model: credit
spreads, recovery rates, correlation
Other ABS 8.1 — 6.6 1.5 10 (10) Proprietary model: credit spreads
Corporate 18.0 0.9 15.8 1.3 40 (40) Proprietary model: credit spreads
Other (3) 28.6 4.1 24.2 0.3 — — Proprietary model: credit spreads
254.6 73.7 174.0 6.9 570 (650)
Equity shares 26.3 15.4 9.8 1.1 80 (160) Valuation statements: fund valuation
Derivatives
Foreign exchange 173.3 2.2 171.0 0.1 — — Proprietary model: volatility, correlation
Interest rate 654.8 0.4 652.9 1.5 80 (80) Proprietary model: volatility, correlation
Equities 9.2 0.5 8.6 0.1 — (10) Proprietary model: volatility, correlation,
dividends
Commodities – Sempra 11.6 — 11.0 0.6 50 (50) n/a
Commodities – other 1.3 — 1.3 — — — Proprietary model: credit spreads, correlation,
expected losses and recoveries
Credit 142.4 0.8 133.6 8.0 1,030 (1,200) Proprietary, industry option and correlation
models: counterparty credit risk, correlation,
volatility
992.6 3.9 978.4 10.3 1,160 (1,340)
Total assets 1,383.3 93.0 1,268.9 21.4 1,880 (2,200)
Liabilities
Deposits:
– banks 81.1 — 81.1 — — —
n/a
– customers 64.0 — 63.7 0.3 — — Proprietary model: credit spreads correlation
Debt securities in issue 51.4 — 47.0 4.4 190 (170) Proprietary model: volatility, correlation
Short positions 42.5 36.0 6.5 — — — Proprietary model: credit spreads, correlation
Derivatives
Foreign exchange 173.4 2.2 171.2 — — — n/a
Interest rate 641.0 0.4 639.7 0.9 90 (90) Proprietary model: volatility, correlation
Equities 12.2 0.9 11.2 0.1 — — Proprietary model: volatility, correlation,
correlation, dividends
Commodities – Sempra 10.9 — 10.5 0.4 30 (30) n/a
Commodities – other 1.2 — 1.2 — — — Proprietary model: credit spreads, correlation,
expected losses and recoveries
Credit 132.7 0.1 130.0 2.6 180 (160) Proprietary, industry option and correlation
models: counterparty credit risk, correlation,
volatility
971.4 3.6 963.8 4.0 300 (280)
Other financial liabilities (4) 1.8 — 1.5 0.3 60 (40)
Total liabilities 1,212.2 39.6 1,163.6 9.0 550 (490)